Quantitative factors of northbound capital trading behavior
factor.formula
AvgHoldValue:
FlowStability:
FlowToPricePeak:
FlowToVolumePeak:
in:
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The average value of the daily holdings of northbound funds in the past 20 trading days. This indicator reflects the overall allocation scale of northbound funds to specific stocks.
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The average of the daily net inflow of northbound funds in the past 20 trading days, divided by the standard deviation of the daily net inflow of northbound funds in the past 20 trading days. This indicator measures the stability of northbound capital inflows. The larger the positive value, the stronger the continuity and stability of capital inflows.
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Select the three trading days with the highest stock prices in the past 20 trading days, calculate the average of the daily net inflow of northbound funds in these three trading days, and then divide it by the average of the daily holding market value of northbound funds in the past 20 trading days. This indicator measures whether northbound funds are accelerating their inflows when stock prices are high, which can reflect their judgment on the value of stocks and their willingness to chase the rise.
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Select the three trading days with the highest trading volume in the past 20 trading days, calculate the average of the daily net inflow of northbound funds in these three trading days, and then divide it by the average of the absolute value of the daily net inflow of northbound funds in the past 20 trading days. This indicator measures whether northbound funds flow in faster when trading volume increases, which can reflect its preference for stock liquidity and its response to market attention.
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Holding Value
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Net Inflow
factor.explanation
This group of factors aims to capture market sentiment and liquidity characteristics by quantifying the trading behavior of northbound funds. Specifically:
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AvgHoldValue (Average Holding Value): This indicator reflects the long-term allocation preference and capital investment scale of northbound funds for specific stocks.
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FlowStability (Capital Inflow Stability): This indicator measures the continuity and stability of northbound capital inflows. Higher values indicate more stable capital inflows, which may suggest that investors have strong long-term confidence in the stock.
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FlowToPricePeak (High Stock Price Capital Inflow Ratio): This indicator measures the inflow of northbound funds when the stock price is high. If the stock price is high and northbound funds are still accelerating inflows, it may indicate that investors highly recognize the value of the stock and have a willingness to chase the rise, but it may also indicate the risk of overheating of the stock price.
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FlowToVolumePeak (Capital Inflow Ratio when Trading Volume Amplifies): This indicator measures the inflow of northbound funds when trading volume amplifies. If northbound funds are still accelerating inflows when trading volume amplifies, it may indicate that investors have a high liquidity preference for the stock and are more responsive to market attention. This may reflect the market's positive sentiment towards the stock.
These factors can complement each other and jointly characterize the trading behavior of northbound funds in different market environments, providing a multi-dimensional perspective for quantitative investment.